Jerome Detemple

18 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-1173-6374

Questrom School of Business, Boston University, Boston, Massachusetts 02215

Publications

• Volatility During the COVID-19 Pandemic — Management Science 2026
• Dynamic Noisy Rational Expectations Equilibrium With Insider Information — Econometrica 2020
• The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage — The Review of Financial Studies 2020
• Asset pricing with beliefs-dependent risk aversion and learning — Journal of Financial Economics 2018
• A Structural Model of Dynamic Market Timing — The Review of Financial Studies 2013
• Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications — The Review of Financial Studies 2010
• Asymptotic Properties of Monte Carlo Estimators of Derivatives — Management Science 2005
• ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications — Management Science 2004
• Dynamic Equilibrium with Liquidity Constraints — The Review of Financial Studies 2003
• A Monte Carlo Method for Optimal Portfolios — The Journal of Finance 2003
• The Valuation of American Options for a Class of Diffusion Processes — Management Science 2002
• The Valuation of Volatility Options — Review of Finance 2000
• Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach — The Review of Financial Studies 1999
• Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints — The Review of Financial Studies 1997
• American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods — The Review of Financial Studies 1996
• American Capped Call Options on Dividend-Paying Assets — The Review of Financial Studies 1995
• On the Optimal Hedge of a Nontraded Cash Position — The Journal of Finance 1988
• Asset Pricing in a Production Economy with Incomplete Information — The Journal of Finance 1986